Citations (9)
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Read on this site (5)
Chiao-Yi Chang & Fu-Shuen Shie. (2012) The nonlinear relationship between autocorrelation and volatility: the case of the Asian financial crisis. Applied Economics Letters 19:4, pages 305-311.
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Kurt Brännäs & Albina Soultanaeva. (2011) Infulence of news from Moscow and New York on returns and risks of Baltic States’ stock markets. Baltic Journal of Economics 11:1, pages 109-124.
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Ming-Yuan Leon Li. (2009) Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets. Applied Economics Letters 16:2, pages 183-191.
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Bing Zhang & Xindan Li. (2008) The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market. Applied Economics Letters 15:12, pages 959-962.
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Yung-Shi Liau & Jack J. W. Yang. (2008) The mean/volatility asymmetry in Asian stock markets. Applied Financial Economics 18:5, pages 411-419.
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Articles from other publishers (4)
Jan G. De Gooijer. (2021) Asymmetric vector moving average models: estimation and testing. Computational Statistics 36:2, pages 1437-1460.
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Kurt Brännäs & Jan G. De Gooijer. (2004) Asymmetries in conditional mean and variance: modelling stock returns by asMA‐asQGARCH. Journal of Forecasting 23:3, pages 155-171.
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Kurt Brannas & Albina Soultanaeva. (2006) Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices. SSRN Electronic Journal.
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Thomas Nebeling & Nazarii Salish. (2015) LM Tests for Shock Induced Asymmetries in Time Series. SSRN Electronic Journal.
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